Beyond conventional XVA effects, there exists an overlooked class of convexity opportunities arising from the interaction between currency basis risk and OIS discounting. While often treated as independent, these risks are correlated through funding behaviour and liquidity transmission, creating what is effectively a form of funding wayness, analogous to wrong-way credit risk.

In practice, non-USD discounting curves depend on both the OIS–LIBOR spread and the currency basis. When a portfolio’s funding delta is sensitive to either factor, a second-order convexity effect appears that is not properly captured in most market models. This omission means current valuations often overlook a meaningful source of asymmetric P&L potential.

By constructing offsetting exposures across OIS discounting and cross-currency basis, one can create positions where funding deltas move favourably in both directions — generating a positive annuity-like return regardless of near-term market direction. In essence, it is possible to capture value from the non-linear interaction between funding and discounting curves — an opportunity still largely untapped because most participants model these factors independently.